| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 14 | 14 | 14 |
| Score | 3.5 | 3.07 | 3.03 |
| Market Cap (Millions USD) | 21586.81 | 21201.08 | 21456.26 |
| Predicted Beta | 3.5 | 3.5 | 3.47 |
| Idiosyncratic Volatility | 3.66 | 3.84 | 3.93 |
| DIA | |
|---|---|
| Annualized Return | 0.0699 |
| Annualized Std Dev | 0.1788 |
| Annualized Sharpe (Rf=0%) | 0.3907 |
| DIA | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0939 |
| Quartile 1 | -0.0043 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1356 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0113 |
| Skewness | 0.3581 |
| Kurtosis | 13.3410 |
| DIA | |
|---|---|
| Semi Deviation | 0.0080 |
| Gain Deviation | 0.0084 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.5187 |
| Historical VaR (95%) | -0.0177 |
| Historical ES (95%) | -0.0267 |
| Modified VaR (95%) | -0.0140 |
| Modified ES (95%) | -0.0140 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-01-19 | -0.5187 | 1096 | 364 | 732 |
| 2000-01-18 | 2002-10-09 | 2004-12-21 | -0.3503 | 1261 | 696 | 565 |
| 2018-10-04 | 2018-12-24 | 2019-04-18 | -0.1814 | 137 | 57 | 80 |
| 2015-05-20 | 2015-08-25 | 2016-04-14 | -0.1387 | 231 | 69 | 162 |
| 2018-01-29 | 2018-03-23 | 2018-09-18 | -0.1119 | 165 | 39 | 126 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | DIA | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.7 | 0.1 | 0.0 | 0.5 | 1.1 | 0.0 | 1.0 | 0.1 | 0.0 | -0.2 | -0.6 | 0.0 | 2.7 |
| 2001 | 1.2 | -0.3 | 0.0 | 1.7 | 1.3 | 0.0 | 0.2 | 0.0 | 0.4 | 2.0 | 0.0 | 0.0 | 6.6 |
| 2002 | 0.0 | 2.7 | -0.3 | 1.5 | 0.0 | -1.6 | -2.6 | 0.0 | 5.3 | 1.9 | 0.0 | 0.0 | 6.8 |
| 2003 | 0.0 | 0.0 | 1.2 | -0.3 | 0.0 | 0.7 | -0.7 | 0.0 | 1.8 | 0.0 | 1.0 | 0.0 | 3.8 |
| 2004 | 0.0 | 0.8 | 0.2 | 0.0 | 0.0 | -1.3 | 0.0 | 0.0 | 1.3 | 0.3 | 1.3 | 0.0 | 2.5 |
| 2005 | 0.6 | 0.5 | -0.9 | 0.0 | 0.7 | 0.4 | -0.4 | -0.3 | 0.0 | 0.2 | 0.8 | 0.0 | 1.5 |
| 2006 | 1.2 | 0.5 | 0.0 | -0.5 | 0.6 | 0.0 | -0.6 | 0.8 | 0.0 | -0.4 | -0.2 | 0.0 | 1.4 |
| 2007 | 0.4 | -0.2 | 0.0 | 0.5 | 0.2 | 0.0 | 0.9 | 0.0 | 1.2 | -2.2 | 0.0 | 0.0 | 0.8 |
| 2008 | 1.1 | 0.0 | 3.0 | 1.4 | 0.0 | 0.3 | -0.5 | 0.0 | 0.3 | 0.0 | -7.5 | 0.0 | -2.2 |
| 2009 | 0.0 | 0.0 | 2.2 | 0.6 | 2.3 | 0.4 | 0.0 | -1.9 | -2.0 | 0.0 | 1.1 | 0.0 | 2.6 |
| 2010 | 1.3 | 0.7 | 0.6 | 0.0 | -1.1 | -0.4 | 0.0 | 2.6 | 0.4 | 0.0 | 2.3 | 0.0 | 6.4 |
| 2011 | 1.3 | -1.5 | 0.4 | 0.0 | -2.2 | 1.4 | 0.0 | -0.9 | 0.0 | -2.5 | 0.0 | 0.0 | -4.1 |
| 2012 | 0.7 | 0.2 | 0.0 | 0.6 | -2.2 | 0.0 | -0.2 | 0.0 | 0.5 | 1.1 | 0.0 | 0.0 | 0.6 |
| 2013 | 1.0 | 0.3 | 0.0 | -0.9 | 0.0 | 0.6 | 0.7 | 0.0 | 0.4 | 0.4 | 0.0 | 0.0 | 2.5 |
| 2014 | 0.0 | 0.0 | 0.4 | -0.1 | 0.0 | 0.8 | -0.4 | 0.0 | -1.4 | 0.0 | -0.3 | 0.0 | -1.1 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.0 | 0.2 | 0.9 | 0.0 | -2.9 | -0.1 | 0.0 | 0.9 | 0.0 | -0.5 |
| 2016 | 0.0 | 2.2 | 0.6 | 0.0 | 0.0 | 0.2 | -0.1 | 0.1 | 0.0 | -0.6 | 0.3 | 0.0 | 2.6 |
| 2017 | 0.1 | 1.5 | 0.0 | -0.1 | 0.7 | 0.0 | 0.3 | 0.2 | 0.0 | 0.2 | -0.2 | 0.0 | 2.8 |
| 2018 | 0.1 | -1.7 | 0.0 | -0.3 | 0.9 | 0.0 | -0.4 | 0.0 | 0.9 | 1.0 | 0.0 | 0.0 | 0.4 |
| 2019 | 0.1 | 0.4 | 1.3 | -0.6 | 0.0 | 0.4 | -1.0 | 0.0 | -1.4 | 1.1 | 0.0 | -0.1 | 0.2 |